Quantile relationships between standard, diffusion and jump betas across Japanese banks
Biplob Chowdhury, Nagaratnam Jeyasreedharan, Mardi Dungey
| Year of publication: |
2018
|
|---|---|
| Authors: | Chowdhury, Biplob ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi H. |
| Published in: |
Journal of Asian economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1049-0078, ZDB-ID 1061920-3. - Vol. 59.2018, p. 29-47
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| Subject: | Beta | High-frequency data | Japanese banks | Jumps | Quantile regression | Japan | Betafaktor | Beta risk | Regressionsanalyse | Regression analysis | Volatilität | Volatility | Bank | Börsenkurs | Share price | Schätzung | Estimation | Kapitaleinkommen | Capital income | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.asieco.2018.09.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012102893